| Library: | finance |
| See also: | ITTcrr ITTnewnodes ITT |
| Quantlet: | ITTad | |
| Description: | auxiliary quantlet for ITT. It computes the Arrow-Debreu prices of an Implied Trinomial Tree on a particular level. |
| Usage: | newad=ITTad(up,down,ad,r,deltat) | |
| Input: | ||
| up | vector; up probabilities on the given level | |
| down | vector; down probabilities on the given level | |
| ad | vector; the Arrow-Debreu prices on the last level | |
| r | scalar; CONTINUOUS interest rate from interval (0,1) | |
| deltat | scalar; time step from the last level to the new one | |
| Output: | ||
| newad | vector; the Arrow-Debreu prices on the following level | |